The only people tied up in knots about Catholicism more than English Protestants are American Catholics.
Whatever religion Shakespeare practiced, and nobody knows for sure, it is clear that ole William was not a Puritan or Calvinist. That would be true of any one involved with the theatre in the 16th and 17th centuries.
As for learning rhetoric at school, that was the practice of education in England and Europe for centuries. So why didn't all of Shakespeare's classmates become great English playwrights since they all received the same education and all grew up in Warwickshire? This sifting of the biography of Shakespeare to explain his art has it backwards. You have to search his art to explain his life. And his life is much less interesting than his art.
O.k. So his Warwickshire upbringing is relevant, but his childhood Catholicism isn’t?
As you like it...